Correlation Between Matahari Department and Mitrabahtera Segara

Can any of the company-specific risk be diversified away by investing in both Matahari Department and Mitrabahtera Segara at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Matahari Department and Mitrabahtera Segara into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Matahari Department Store and Mitrabahtera Segara Sejati, you can compare the effects of market volatilities on Matahari Department and Mitrabahtera Segara and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Matahari Department with a short position of Mitrabahtera Segara. Check out your portfolio center. Please also check ongoing floating volatility patterns of Matahari Department and Mitrabahtera Segara.

Diversification Opportunities for Matahari Department and Mitrabahtera Segara

0.26

Correlation Coefficient

Matahari Department  Mitrabahtera Segara

Modest diversification

The 3 months correlation between Matahari and Mitrabahtera is 0.26. Overlapping area represents the amount of risk that can be diversified away by holding Matahari Department Store and Mitrabahtera Segara Sejati in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mitrabahtera Segara and Matahari Department is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Matahari Department Store are associated (or correlated) with Mitrabahtera Segara. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mitrabahtera Segara has no effect on the direction of Matahari Department i.e., Matahari Department and Mitrabahtera Segara go up and down completely randomly.

Pair Corralation between Matahari Department and Mitrabahtera Segara

Assuming the 90 days trading horizon Matahari Department Store is expected to under-perform the Mitrabahtera Segara. But the stock apears to be less risky and, when comparing its historical volatility, Matahari Department Store is 1.46 times less risky than Mitrabahtera Segara. The stock trades about -0.16 of its potential returns per unit of risk. The Mitrabahtera Segara Sejati is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest  103,000  in Mitrabahtera Segara Sejati on September 1, 2024 and sell it today you would lose (1,500) from holding Mitrabahtera Segara Sejati or give up 1.46% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Matahari Department Store  vs.  Mitrabahtera Segara Sejati

Matahari Department Store

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Matahari Department Store has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in December 2024. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Mitrabahtera Segara

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Mitrabahtera Segara Sejati has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Mitrabahtera Segara is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Matahari Department and Mitrabahtera Segara

The main advantage of trading using opposite Matahari Department and Mitrabahtera Segara positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Matahari Department position performs unexpectedly, Mitrabahtera Segara can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Mitrabahtera Segara will offset losses from the drop in Mitrabahtera Segara's long position.

The idea behind Matahari Department Store and Mitrabahtera Segara Sejati pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.